I have been involved in a HE to CSE move.
It was more to get off the mainframe and save $$$ ... as the HE processing took a large bunch of MIPS. And mainframes have traditionally been charged based on MIPS usage.
As you have Gdn (GuardIEn) already ... then there is the advantage of utilising features of Gen and Gdn that are not on the HE but available on the CSE. (web service generation, etc)
Unless CA is going to decommission HE ... and you are happy with your current setup then I don't see a real reason to move. I am biased towards CSEs as the CSE database schema is easier to write queries for.
A point to consider is costing the additional load of putting a CSE on your Gdn server ... and whatever savings you might get for pulling this off the MF.